Place the flour in a large mixing bowl; set aside.
Heat the milk in a small saucepan over low heat, stirring occasionally, until it is warm to the touch, but not hot. If you have an instant-read thermometer, the temperature of the milk should be between 110 and 115 degrees F. Once the milk reaches the correct temperature, remove from the heat, add the yeast, stir, and let sit for 10 minutes.
Add the milk and yeast mixture to the flour and begin to mix it into a dough (it will be shaggy at this point). Next, add the vegetable oil and melted shortening and continue to mix. Now, add the eggs and continue mixing until the dough forms a rough ball.
Turn the dough out onto a floured surface and knead it, adding more flour as necessary, until it is smooth and elastic, about 5 minutes. Divide the dough into two and cover one half with a dish towel while you work with the other.
Working with one piece of dough at a time, roll it out very thin, into a large rectangle about 12x24-inches. Sprinkle the dough with half of the cheese, and then with half of the bacon, leaving a half inch border around all of the edges.
Starting with a long end facing you, roll the dough up into a tight cylinder jelly roll-style, pinching the seams and ends to seal. Once you have finished rolling the dough, gently coil it into a spiral into a pie plate. Repeat with the second piece of dough.
Once both loaves have been shaped and placed into pie plates, brush them with melted butter and then cover loosely with plastic wrap. Place in a draft-free area and allow to rise until almost doubled in size, 1 to 2 hours, depending on the temperature and humidity.
Preheat the oven to 350 degrees F. Bake the bread until golden brown on top, about 35 to 40 minutes. Allow to cool to warm room temperature before slicing them (ideally, let them cool completely, but sometimes I just can't wait!). Leftovers should be wrapped in plastic wrap and can be kept at room temperature for up to 5 days. The bread can also be frozen - be sure sure to wrap it tightly in plastic wrap, and then in aluminum foil.